英文标题：
《Estimating the Counterparty Risk Exposure by using the Brownian Motion
Local Time》
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作者：
Michele Bonollo, Luca Di Persio, Luca Mammi, Immacolata Oliva
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最新提交年份：
2017
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英文摘要：
In recent years, the counterparty credit risk measure, namely the default risk in \\emph{Over The Counter} (OTC) derivatives contracts, has received great attention by banking regulators, specifically within the frameworks of \\emph{Basel II} and \\emph{Basel III.} More explicitly, to obtain the related risk figures, one has first obliged to compute intermediate output functionals related to the \\emph{Mark-to-Market} (MtM) position at a given time $t \\in [0, T],$ T being a positive, and finite, time horizon. The latter implies an enormous amount of computational effort is needed, with related highly time consuming procedures to be carried out, turning out into significant costs. To overcome latter issue, we propose a smart exploitation of the properties of the (local) time spent by the Brownian motion close to a given value.
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中文摘要：
近年来，交易对手信用风险度量，即场外交易（OTC）衍生品合同中的违约风险，受到了银行监管机构的高度关注，特别是在巴塞尔协议II和巴塞尔协议III的框架内，更明确地说，以获得相关风险数字，首先，我们必须计算与给定时间的MtM头寸相关的中间输出函数，$t是一个正的、有限的时间范围。后者意味着需要大量的计算工作，需要执行相关的非常耗时的程序，从而产生巨大的成本。为了克服后一个问题，我们建议巧妙地利用布朗运动在接近给定值时所花费的（局部）时间的性质。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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